Work

Modeling spot rate using a realized stochastic volatility model with level effect and dynamic drift☆

Year: 2017

Type: article

Source: The North American Journal of Economics and Finance

DOI: 10.1016/j.najef.2017.03.003

Authors: Shaoyu Li, Tingguo Zheng

Institutions: Southwestern University of Finance and Economics, Xiamen University

Language: English

Topic: Financial Risk and Volatility Modeling

Subfield: Finance

Field: Economics, Econometrics and Finance

Domain: Social Sciences

Open Access status: closed

Funders: National Natural Science Foundation of China, Fujian Key Laboratory of Statistical Science

Awards: G1960827588, G6008766994

OpenAlex ID: W2602020286

FWCI:

Cites: 50

Cited by: 1

Related to: 10